Assume that two random variables X and Y are jointly Gaussian with m x = m y

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Assume that two random variables X and Y are jointly Gaussian with mx = my = 1, σ2x = σ2y = 4.

(a) Making use of (6.194), write down an expression for the marginal pdfs of X and of Y.

(b) Write down an expression for the conditional pdf f X | Y (x | y) by using the result of (a) and an expression for fXY (x,y) written down from (6.189). Deduce that f Y | X (y | x) has the same form with y replacing x.

(c) Put f X | Y (x | y) into the form of a marginal Gaussian pdf. What is its mean and variance? (The mean will be a function of y.) 

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